Power properties of the modified CUSUM tests

DOI10.1080/03610926.2018.1473598OpenAlexW2744782807WikidataQ128879244 ScholiaQ128879244MaRDI QIDQ5866043

Eiji Kurozumi, Peiyun Jiang

Publication date: 10 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/28728/070econDP17-05.pdf

zbMATH Keywords

linear modelstructural changeparameter stability

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites Work

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• CUSUM Methods for Monitoring Structural Changes in Structural Equations
• Testing for Structural Change in Dynamic Models
• The Cusum Test with Ols Residuals
• Two Methods for Examining the Stability of Regression Coefficients
• Fixed‐banalysis of LM‐type tests for a shift in mean
• Testing for Change Points in Time Series
• Nonmonotonic power for tests of a mean shift in a time series§
• A modified CUSUM test for orthogonal structural changes

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